The Structure Models for Futures Options Pricing and Related Researches
Based on the structure model of option pricing (Feng DAI, 2005) and the Partial Distribution (Feng DAI, 2001), this paper designs a new kind of expression of futures price, presents the structure pricing model for American futures options on underlying non-dividend-paying, and gives three put-call parities between American call and put option on spots, call and put option on futures, and spot options and futures options, they are different from put-call parity of European options. We prove analytically that an American call option on futures must be worth more than the corresponding American call option on spot and an American put option on futures must be worth less than the corresponding American put option on spot in normal market; and the oppositions in inverted market. The final empirical researches also support the conclusions in this paper.
|Date of creation:||31 Mar 2005|
|Date of revision:|
|Note:||Type of Document - pdf; pages: 10. the reference (F. Dai, Z. F. QIN. DF Structure Models for Options Pricing. International Journal of Applied Economics. 2005, accepted) is similar to the paper in this EWP database|
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- Peter Ritchken & Rob Trevor, 1999. "Pricing Options under Generalized GARCH and Stochastic Volatility Processes," Journal of Finance, American Finance Association, vol. 54(1), pages 377-402, 02.
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787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
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